On December 3, 2025, the Faculty of Finance of City University of Macau hosted the ninth academic salon of the academic year at Seminar Room G2213, Golden Dragon Campus. The seminar featured Assistant Professor Tiantian Ren from Xiangtan University as the keynote speaker, who presented her research paper titled “Risk-Aversion versus Risk-Loving Preferences in Nonparametric Frontier-Based Fund Ratings: A Buy-and-Hold Backtesting Strategy”.
The study challenges conventional rating frameworks by developing a novel fund rating model that incorporates both risk-loving and risk-aversion preferences. The eventual risk-loving nature of preferences of investors has largely been ignored in the existing frontier-based fund rating literature. This contribution develops a series of nonparametric frontier-based methods to rate mutual funds accounting for both mixed risk-loving and mixed risk-aversion preferences. These new methods are proposed by defining the corresponding shortage functions that can allow for increases in all moments, or increases in odd moments and reductions in even moments. The empirical part designs a buy-and-hold backtesting to test the out-of-sample performance of the proposed rating methods corresponding to different risk preferences on the actual MF selection. The evidence indicates that the backtesting strategies based on the output frontier-based rating models with risk-loving preferences exhibit an overwhelming dominance compared to most existing frontier-based and traditional financial ratings.
Dr. Tiantian Ren is currently an Assistant Professor in the Department of Finance, Business School of Xiangtan University. Her primary research interests include financial engineering and risk management, portfolio and performance evaluation, and rural finance. She has published over 30 research papers in journals such as Journal of Management Sciences in China, Chinese Journal of Management Science, European Journal of Operational Research (JCR Q1/ABS 4), and OMEGA (JCR Q1/ABS 3). Dr. Ren has also led several research projects, including a Youth Program of the National Natural Science Foundation of China, a Youth Program of the Humanities and Social Sciences Foundation of the Ministry of Education, and an Outstanding Youth Project of the Hunan Provincial Department of Education.
In this academic salon, Dr. Ren shared her latest research findings with the Faculty of Finance, broadening the academic scope of the faculty. The Faculty of Finance Academic Salon at the City University of Macau is a platform for exchanging academic ideas and enhancing academic awareness. The Salon focuses on finance and economics, inviting experts from academia and the financial industry to discuss cutting-edge research and share industry development trends, aiming to bring new academic experiences and thinking models to the faculty and students of the university. Through academic activities like the academic salon, the Faculty of Finance provides a better academic platform for graduate students and encourage further exploration and research of academic issues among faculty and students.